asset prices reflect both covariance risk and misperceptions of firmsapos prospects, and in which arbitrageurs trade against … mispricing. In equilibrium, expected returns are linearly related to both risk and mispricing measures (e.g., fundamental …

on cost of equity capital, idiosyncratic risk, stock price crash risk, turnover rate by using annual panel data. The main … results are as follows. Implementing shareholder perks reduces cost of capital, volatility, and idiosyncratic risk, while … implementation of perks results in increase in individual stock price crash risk. The results mean that an increase in small …

effects a negative premium for idiosyncratic risk. Even after controlling for the three Fama-French factors we estimate a … signi ficant risk premium of -0.8% per month. In addition, we undertake further robustness checks like the differentiation … between upside and downside idiosyncratic volatility, the application of the (E)GARCH approach to estimate idiosyncratic risk …

Momentum profits can be explained by exposure to risks omitted from common factor models (distress risk, idiosyncratic … risk, and covariance with corporate bonds) and underreaction to innovations in these risks. Momentum strategies tend to go … long risky stocks with high expected returns. Consistent with risk as a partial explanation of momentum profits, long …

Assuming that risk premiums are determined by failure risk, we present a stylized model of interactions among risk … financing, drives the following five asset pricing anomalies: (1) the failure-risk anomaly; (2) earnings momentum; (3) the …

This paper implements a novel model-free methodology to measure skewness risk premia in individual stocks. The … skewness risk premium in individual stocks. The risk premium massively increased after the 2008/2009 financial crisis due to an … increase in the price of put options in individual stocks. Part of this skewness risk premium is idiosyncratic. Frictions on …

different proxies for investor base, we show that idiosyncratic risk premiums are larger for neglected stocks, and smaller or … even economically insignificant for visible stocks. Since neglected stocks have greater IV, the total IV risk premium …

exposure to systematic mispricing can bias tests of risk-return tradeoffs. Controlling for systematic mispricing, we recover … robust positive risk-return relations for many cross-sectional risk proxies, including low-risk and distress anomalies. We … arising from empirical failures of standard pricing models, and show empirical risk-return relations supporting rational …